If you've just installed WordPress and have added a few pages to your site, you'll likely see those pages in your main menu, but perhaps in the incorrect order. In order to take charge of your menu you'll need to build one -- fortunately it's very easy in the latest version of WordPress.
First navigate to Appearance > Menus to build your menu for the first time.
To get started, simply add a Menu Name and then click the blue button to create it. Next you'll need to assign it to a Theme Location which you can find on the top left. (This is where you'll know if your template supports the WP 3.0 menu system or not.) Choose the Primary Navigation and click Save.
Next you can add Pages or Categories simply by clicking on the checkbox next to their names, then Add to Menu. (You can even add links to non-WordPress pages on your domain, or external links).
Your new menu buttons should appear on the right side and now you're free to drag and drop them around to reorder. To make sub-menus (if your template support drop down menus) all you have to do is move a menu item to the right and it will click into place under the button above it.
Click Save Menu and you're done!
If this is at all confusing, you can find many videos online at YouTube and similar sites that explain the concepts in this tutorial visually, where you can see inside the WP interface.